IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large

DOI10.1016/J.JECONOM.2015.01.008zbMATH Open1337.62370OpenAlexW3121627515MaRDI QIDQ494404FDOQ494404

Authors: Junwei Zhang, Cheng Hsiao 

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.01.008

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• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
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• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE

zbMATH Keywords

MLEGMMasymptotic biasIVlarge \(N, T\)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Linear Regression Limit Theory for Nonstationary Panel Data
• Linear Statistical Inference and its Applications
• Estimation of Dynamic Models with Error Components
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Title not available (Why is that?)
• Another look at the instrumental variable estimation of error-components models
• Formulation and estimation of dynamic models using panel data
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Estimation of dynamic panel data models with both individual and time-specific effects
• The analytic inversion of any finite symmetric tridiagonal matrix

Cited In (18)

• Many IVs estimation of dynamic panel regression models with measurement error
• Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Jive for panel dynamic simultaneous equations models
• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• First difference or forward demeaning: Implications for the method of moments estimators
• Some properties of the LIML estimator in a dynamic panel structural equation
• Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
• Statistical inference for panel dynamic simultaneous equations models
• Asymptotic distribution of misspecified random effects estimator for a dynamic panel model with fixed effects when both n and T are large
• Panel models with interactive effects
• Dynamic panels with threshold effect and endogeneity
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
• The asymptotic properties of the system GMM estimator in dynamic panel data models when both \(N\) and \(T\) are large
• Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both \(N\) and \(T\) are large
• On estimation of two-dimensional dynamic panel model with confounders

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